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Manner, Hans, Stark, Florian and Wied, Dominik (2019). Testing for structural breaks in factor copula models. J. Econom., 208 (2). S. 324 - 346. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1872-6895

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Abstract

We propose new fluctuation tests for detecting structural breaks in factor copula models and analyse the behaviour under the null hypothesis of no change. In the model, the joint copula is given by the copula of random variables which arise from a factor model. This is particularly useful for analysing data with high dimensions. Parameters are estimated with the simulated method of moments (SMM). The discontinuity of the SMM objective function complicates the derivation of a functional limit theorem for the parameters. We analyse the behaviour of the tests in Monte Carlo simulations and a real data application. It turns out that our test is more powerful than nonparametric tests for copula constancy in high dimensions. (C) 2018 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Manner, Hans UNSPECIFIED UNSPECIFIED UNSPECIFIED Stark, Florian UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-157606
DOI:	10.1016/j.jeconom.2018.10.001
Journal or Publication Title:	J. Econom.
Volume:	208
Number:	2
Page Range:	S. 324 - 346
Date:	2019
Publisher:	ELSEVIER SCIENCE SA
Place of Publication:	LAUSANNE
ISSN:	1872-6895
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language DEPENDENCE; CONSTRUCTIONS Multiple languages Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/15760